Random walks in cones: The case of nonzero drift

Jetlir Duraj ()

Stochastic Processes and their Applications, 2014, vol. 124, issue 4, 1503-1518

Abstract: We consider multidimensional discrete valued random walks with nonzero drift killed when leaving general cones of the euclidean space. We find the asymptotics for the exit time from the cone and study weak convergence of the process conditioned on not leaving the cone. We get quasistationarity of its limiting distribution. Finally we construct a version of the random walk conditioned to never leave the cone.

Keywords: Random walk; Exit time; Cones; Conditioned process; Quasistationary distribution (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:124:y:2014:i:4:p:1503-1518

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DOI: 10.1016/j.spa.2013.12.003

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